MOODY' S ABCP RATING ACTIONS FOR THE SEVEN DAY PERIOD ENDED DECEMBER 19, 2002:
New York, December 23, 2002 -- MOODY'S RATED THE FOLLOWING ABCP CONDUIT PRIME-1 DURING THE PERIOD
DECEMBER 12, 2002 THROUGH DECEMBER 19, 2002:
MOODY'S RATES CENTURY CAPITAL MARKETS' VENUS FUNDING ABCP PROGRAM PRIME-1
AND VENUS FUNDING ADDS FIRST TRANSACTION
Moody's Investors Service assigned a Prime-1 rating to the asset-backed
commercial paper (ABCP) of Venus Funding Corp. (Venus), a
newly created, prior review, fully supported, non-bank
sponsored, multiseller program administered by U.S.
Bank National Association (Aa2/Prime-1/B+). While U.S.
Bank is the administrator of the Venus program, it has delegated
most of the day-to-day operations of Venus to Global Securitization
Services, LLC (GSS). Century Capital Markets LLC (CCM) will
provide advisory services to Venus. CCM is a limited liability
company headquartered in Orlando, FL. It is 65% owned
by CNL Capital Corp. CCM's responsibilities will include,
among other things, identification of potential sellers and liquidity
providers and negotiation of the structure of asset purchase or financing
agreements. Venus is authorized to issue up to $5 billion
of ABCP. Subject to Moody's prior review, Venus will use
the ABCP proceeds to purchase or finance U.S. dollar-denominated
As its first transaction, Venus acquired a $23.52
million loan facility that financed the acquisition of five real estate
properties. This transaction is fully supported by a liquidity
loan facility provided by Bank Hapoalim B.M. (A2/Prime-1/C).
THE FOLLOWING ABCP PROGRAMS TERMINATED DURING THE PERIOD DECEMBER 12,
2002 THROUGH DECMBER 19, 2002:
BANK ONE'S LAKE FRONT FUNDING CO. LLC TERMINATES PROGRAM
Lake Front Funding Co. LLC, an extendable note program sponsored
by Bank One, N.A. (Aa2/Prime-1/B+),
terminated as of December 17 with the final maturity of the secured notes.
Proceeds of the Lake Front program were invested in two of Bank One's
other ABCP programs, Preferred Receivables Funding Corp.
(PREFCO) and Falcon Asset Securitization Corp. Upon termination
of the program, Falcon and PREFCO asset-backed commercial
paper was funded in the ABCP market, since Lake Front will no longer
be an investor in those conduits. The termination is not related
to any FASB consolidation initiative related developments.
NATIONAL CITY BANK'S NORTH COAST FUNDING TERMINATES PROGRAM
North Coast Funding LLC, sponsored by National City Bank (Aa3/Prime-1/B+)
of Cleveland, Ohio, terminated as of December 13 with the
final maturity of its outstanding ABCP. North Coast was a dual-purpose
conduit investing in both securities and trade and lease transactions.
Administered by National City and owned by GSS Holdings Inc.,
North Coast was the first ABCP conduit sponsored by National City.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S DURING
THE PERIOD DECEMBER 12 THROUGH DECEMBER 19, 2002:
SUNTRUST'S THREE PILLARS AND WACHOVIA'S BLUE RIDGE FUNDING ADD $200
MILLION TRADE RECEIVABLES CO-PURCHASE FACILITY
Three Pillars Funding Corp., SunTrust Bank's (Aa2/Prime-1/B+)
partially supported, multiseller ABCP conduit and Blue Ridge Asset
Funding Corp., Wachovia Bank's (Aa3/Prime-1/B) partially
supported ABCP conduit, each added a $100 million interest
in a $200 million trade receivables facility. The seller
is a Ba1-rated manufacturer and distributor of lumber, pulp,
timber and specialty paper products.
Transaction-specific credit enhancement in the form of overcollateralization,
is set at a minimum of 15%. The pool-specific enhancement
increases dynamically based upon the performance of the pool of receivables.
Liquidity provided by Prime-1-rated Sun Trust Bank and Wachovia
Bank, partially supports each conduit's commitment. Program-level
credit enhancement for both Three Pillars and Wachovia was increased by
10%, or $10 million, of each of their respective
purchase commitments. Three Pillars is now authorized to issue
up to $4.4 billion of ABCP, while Blue Ridge is authorized
to issue up to approximately $6.5 billion.
CREDIT LYONNAIS' LA FAYETTE AND ATLANTIC ADD $100 MILLION INTERESTS
IN EARLY BUY-OUT GNMA FACILITY
La Fayette Asset Securitization LLC and Atlantic Asset Securitization
Corp., partially supported, multiseller conduits both
sponsored by Credit Lyonnais' (A1/B-, each on review for
upgrade/Prime-1), each purchased a $100 million interest
in a residential mortgage early buy-out facility. The seller
is an unrated United States-based originator of residential mortgages
and an indirect, wholly-owned subsidiary of a financial services
company rated Prime-1 by Moody's. The facility finances
non-performing FHA-insured and or VA-guaranteed residential
mortgage loans. These loans were repurchased from existing GNMA
securitizations by the seller. Pool-specific credit enhancement
is provided through overcollateralization. The advance rate on
eligible loans is 92% for VA loans and 95% for FHA loans.
In addition, excess spread will be captured in a reserve fund up
to 2% of the facility limit if annualized net losses exceed 2%.
Incremental program-level credit enhancement for these transactions
is equal to 8% and 10% of the transaction for La Fayette
and Atlantic, respectively.
Giving effect to these new commitments, La Fayette and Atlantic
are each now authorized to issue up to $1.2 billion and
$3.7 billion of ABCP.
SOCIETE GENERALE'S ANTALIS ADDS RECEIVABLES TRANSACTION AND INCREASES
TRADE RECEIVABLE POOL
In Paris, Moody's has confirmed the Prime-1 rating of Antalis
SA, the multiseller, partially supported ABCP program sponsored
by Societe Generale (Aa3/Prime-1/B).
This rating action follows one pool addition and the increase of an existing
program. The pool addition is a Euro 240 million transaction backed
by receivables originated by a large European telecom operator.
Antalis has also increased an existing transaction of trade receivables
originated by a pharmaceutical wholesaler in Germany by Euro 55 million.
Structural protections in each of these transactions consist of overcollateralization
and pool-specific liquidity facilities provided by Societe
Generale, amounting to 102.5% of each
transaction purchase limit. In addition, Antalis' program-wide
credit enhancement has been increased to Euro 411 million, or about
7.8% of the conduit's authorized issuance amount.
Antalis is now authorized to issue up to Euro 5.28 billion of ABCP.
DRESDNER'S BEETHOVEN ADDS $800 MILLION SECURITIES ARBITRAGE FACILITY
Beethoven Funding Corp., a partially supported, multiseller
ABCP program sponsored by Dresdner Bank AG (Aa3/Prime-1/C),
added an $800 million credit arbitrage facility to its portfolio.
The transaction is with a Aa2-rated German bank. Investors
are protected by the quality of the assets securitized, as well
as overcollateralization that is calculated according to a dynamic formula
based on asset ratings. A liquidity facility is provided by Prime-1
rated Landesbank Sachsen GZ (Aa2/Prime-1/C-), with
currency risk guaranteed by Prime-1-rated Dresdner.
This is the second such facility added to Beethoven's portfolio,
bringing Beethoven's exposure to credit arbitrage facilities to $1.3
billion, or about half of Beethoven's portfolio.
Beethoven is authorized to issue approximately $3 billion of ABCP.
Program-level credit enhancement is currently at its $50
WACHOVIA'S BLUE RIDGE ADDS $140 MILLION AUTO FLEET LEASING TRANSACTION
Blue Ridge Asset Funding Corp., a partially supported,
multi-seller ABCP program sponsored by Wachovia Bank N.A
(Aa2/Prime-1/B+) added a $150 million auto fleet leasing
transaction to its portfolio. The transaction benefits an unrated
fleet leasing company. Investors are protected by the quality of
the lease pool, overcollateralization set at a 5.25%
minimum and calculated in accordance with a dynamic formula based on pool
composition, as well as various structural protections that will
cause the revolving pool to amortize should lease performance deteriorate.
A liquidity facility is provided by Prime-1 rated Wachovia.
Blue Ridge is authorized to issue approximately $6.5 billion
of ABCP and has program level credit enhancement in excess of $118
CDC'S EIFFEL ADDS $100 MILLION STUDENT LOAN FACILITY AND $150
MILLION AUTO LOAN TRANSACTION
Eiffel Funding LLC, the partially supported, multiseller ABCP
program sponsored by CDC Financial Products, Inc. (Aaa/Prime-1)
has committed to lend up to $100 million to an unrated finance
company backed by a pool of student loans. The transaction benefits
from an insurance policy provided by Aaa-rated AMBAC. A
liquidity facility provided by Prime-1-rated CDC will fund
the face amount of maturing ABCP unless AMBAC is rated below Caa2.
Moody's believes the risk of a precipitous decline in the insurer's rating
is consistent with the Prime-1 rating assigned to Eiffel's ABCP.
Eiffel also purchased a $150 million certificate issued by a finance
company backed by a pool of auto loans. This is the second such
certificate Eiffel has purchased. This purchase brings Eiffel's
total exposure to $319 million. ABCP investors are not exposed
to the risk of the underlying assets, since both certificates are
supported by a total return swap provided by Prime-1 rated CDC-FP.
Eiffel is authorized to issue approximately $4.6 billion
of ABCP and has $130 million of program-level credit enhancement.
STATE STREE'T'S GALLEON CAPITAL CORP ADDS TRADE RECEIVABLES DEAL AND AUTO
Galleon Capital Corp. (Galleon), a partially supported,
multiseller ABCP conduit sponsored by State Street Bank and Trust Co.,
(Aa2/ Prime-1/B+) financed a 1,200 million Swedish Krona
interest in trade receivables originated by a Swedish distributor of retail
pharmaceuticals. The credit risk of the transaction is entirely
correlated with the sovereign credit rating of Sweden (currently rated
Galleon also financed a Euro 60 million receivables purchase of auto leases
originated by a German leasing company. Credit enhancement is comprised
of overcollateralization and a cash reserve account. Although partially
supported by liquidity, the transaction has limited risk due to
structural features, which will cause it to be removed from the
conduit if certain triggers are hit.
Galleon has increased its incremental program-level credit enhancement
by 10% for both of these transactions. Galleon is now authorized
to issue $2.8 billion of ABCP, which is supported
by about $240 million of program-level credit enhancement
DEUTSCHE BANK'S GEMINI SECURITIZATION PURCHASES $975 MILLION OF
PRIME-1 RATED ABCP BACKED BY TWO ASSETS AND ADDS $29.7
MILLION Baa2-RATED VFC FROM AN INSURANCE PREMIUM LOAN TRUST
Gemini Securitization Corp., a partially supported,
multiseller conduit sponsored by Deutsche Bank (DB, Aa3/Prime-1/B),
purchased a total of $975 million of Prime-1 ABCP from a
sister conduit administered by DB. The Prime-1 rated ABCP
is backed by two different asset pools, a $225 million unrated
Class A certificate backed by credit card receivables from an established
issuer and $750 million note from an investment-grade-rated
auto financing company. The credit enhancement for the credit card
certificate is 14% of subordination and an incremental increase
in Gemini's program credit enhancement by 8%. The credit
enhancement for the auto loan receivable facility is a combination of
a 1.5% funded reserve account and 4.5% of
overcollateralization. In addition, Gemini's program credit
enhancement was increased by 8%.
Gemini also added a $29.75 million collateral investment
amount variable floating rate certificate to its portfolio. The
CIA is from an insurance premium loan trust. Gemini holds other
VFCs issued by this trust from earlier series. Due to timing constraints,
Gemini added this asset with full liquidity support.
As of November 30, 2002, Gemini's total authorized commitment
amount was $8.7 billion. Total outstanding ABCP at
$5.4 million, and program enhancement was $217.3
million. Gemini's program limit is set at $10 billion.
NORDLB'S HANNOVER FUNDING ADDS $192.7 MILLION SYNTHETIC
LEASE TRANSACTION AND $25.6 MILLION SERVICER ADVANCE TRANSACTION
Hannover Funding Corp. is Norddeutsche Landesbank Girozentrale's
(Aa1/Prime-1/C-) hybrid ABCP conduit. Hannover combines
the features of several types of ABCP programs: standard partially
supported term and trade receivable financing, maturity-matched
loan-backed program and a security credit arbitrage program.
Hannover purchased a $192.7 million interest in a note backed
by a synthetic lease originated by an A3-rated company.
This transaction is fully supported through liquidity provided by a syndicate
of Prime-1-rated banks. This transaction increases
the size of Hannover's multiseller portfolio to $715 million.
Hannover also purchased a $25.6 million certificate backed
by a pool of servicer advances made by an unrated servicer in support
of RMBS transactions. Investors are not exposed to the risk of
the underlying asset as the transaction benefits from a liquidity facility
provided by Prime-1 rated NordLB that will fund for the face amount
Hannover is authorized to issue approximately $1.2 billion
against term and trade receivables and has program level credit enhancement
of $110 million.
ROYAL BANK OF SCOTLAND'S LOCH NESS ADDS GBP 112.5 MILLION TRANSACTION
FINANCING UK TELECOM RECEIVABLES
Loch Ness Limited/Ness LLC (Loch Ness), a Prime-1 rated,
partially supported multiseller conduit sponsored by The Royal Bank of
Scotland, has funded a GBP 112.5 million trust facility.
The funding is in respect of a financing of a revolving portfolio of United
Kingdom telecom- related receivables. A United Kingdom-based
mobile telecom company originates the receivables, which include
both billed and unbilled receivables owed by private and corporate customers
resident in the UK. The receivables can be divided into two main
types, line rentals and call charges owed by customers and receivables
generated through equipment sales to retailers. This facility is
part of a Euro 800 million co-purchase agreement entered into by
Loch Ness and Citibank's Prime-1-rated EUREKA program.
The transaction is partially supported by a liquidity facility provided
by The Royal Bank of Scotland (Aa2/Prime-1/A-), with
the possibility of syndication to other Prime-1-rated banks.
The transaction benefits from dynamic pool-specific credit enhancement
in the form of overcollateralization, which mitigates potential
default and dilution risk associated with the portfolio. The default
and dilution reserves are calculated monthly for each receivable type
and are subject to an initial floor level of 12.5% for defaults
and 1% and 7.5%, respectively for dilutions.
Furthermore, performance triggers have been introduced. Such
triggers would either result in a) the receivable type involved becoming
ineligible for ABCP financing or ii) a stop purchase of further receivables.
The total authorized amount for the Loch Ness conduit is currently approximately
METRIS OWNER TRUST'S ABCP PRIME-1 RATING CONFIRMED AFTER DOWNGRADE
OF CLASS A-3 VFC TO Aa3
Moody's has confirmed the Prime-1 rating of the single seller asset-backed
commercial paper (ABCP) of Metris Owner Trust after the downgrade of 24
classes of securities issued by Metris Master Trust (MMT) and the Metris
secured note trusts (MSNTs), which are backed by credit card receivables.
These securities were placed on review for possible downgrade on October
18, 2002. Moody's also downgraded to Aa3 from Aaa the Series
2001-A Class A-3 variable funding certificate (VFC) issued
by MMT which is Metris Owner Trust's sole asset.
The Aa3 rating of the Series 2001-A Class A-3 VFC is consistent
with Metris Owner Trust's Prime-1 rating. Nevertheless,
the Aa3 rating of this security is in the lower range of long-term
ratings that are consistent with a Prime-1 ABCP rating.
Therefore, the Prime-1 rating of Metris Owner Trust's ABCP
program is subject to a higher degree of volatility than previously.
If the Class A-3 VFC were downgraded below Aa3, the likelihood
increases that Moody's would downgrade the current rating of Metris Owner
Trust's asset-backed commercial paper.
Of additional concern are the ratings and financial flexibility of Metris
Companies Inc. ("Metris Companies") and Direct Merchants Credit
Card Bank (the "Bank"). In July, Moody's downgraded Metris
Companies to B1 from Ba3. On December 20 Moody's further lowered
the senior unsecured rating of Metris Companies to B3.
For further information, please see Moody's press release dated
December 13, 2002.
STANFIELD'S MICA PURCHASES $387.75 MILLION CLO VARIABLE
Mica Funding LLC, a partially supported, multiseller ABCP
program sponsored by Stanfield Global Strategies (unrated), has
added a $387.75 million CLO variable funding note to its
portfolio. The VFN is rated Aaa by Moody's. Investors are
protected by a liquidity facility being provided by a major European bank
(Aa3/Prime-1/B). However, the bank is not required
to fund if the VFN is rated below Caa2. The risk of the Aaa-rated
VFN being downgraded below Caa2 is consistent with the Prime-1
rating assigned to Mica's ABCP. The asset is required to be removed
by the liquidity provider at par if downgraded to a rating that is well
above the Caa level. This transaction requires no program-level
credit enhancement due to the Aaa rating assigned to the asset.
This is Mica's first partially supported transaction; thus,
this is the first transaction where ABCP investors are exposed to risk
of the underlying asset. Mica is authorized to issue approximately
$3 billion of ABCP and has no program-level credit enhancement,
because all but this transaction are fully supported by liquidity facilities.
WESTLB'S PARADIGM FUNDING ACQUIRES $225 INTEREST IN $450
MILLION REVOLVING RECEIVABLES PURCHASE FACILITY
Paradigm Funding LLC (Paradigm), a partially supported, multiseller
conduit sponsored by WestLB AG (Aa1/Prime-1/D), acquired
a $225 million interest in a $450 million revolving purchase
facility of advertising and program licensing receivables originated by
the companies of an investment-grade rated multimedia entertainment
conglomerate. ABN AMRO Bank's (Aa3/Prime-1/B) Windmill Funding
Corp. is the co-purchaser of this facility. The transaction
benefits from a minimum of 20% deal-specific credit enhancement
in the form of overcollateralization that adjusts dynamically depending
upon asset performance. Also, incremental program-level
credit enhancement of 10% purchased receivables is provided.
Currently, Paradigm is authorized to issue up to $8.3
billion of ABCP and has about $493 million of program-level
INTESA BCI'S ROMULUS ADDS EURO 151.7 MILLION OF HIGHLY RATED ABS
Romulus Funding Corp., a partially supported, hybrid
conduit administered by IntesaBci S.p.A., made
its first asset purchase which is not part of its securities arbitrage
program. The pool addition is a purchase of approximately Euro151.7
million of Aa2-rated notes backed by leases originated by an Italian
company. Liquidity is provided by IntesaBci S.p.A.
(A1/Prime-1/B-). The liquidity provided has increased
by 102% of the amount of ABCP issued to fund the purchase.
Romulus currently has no program credit enhancement, since its required
credit enhancement amount is zero due to high quality of its assets.
There is no incremental credit enhancement for this purchase due to the
high rating of the purchased note. If the rating is reduced,
program enhancement will be increased by the greater of 8% of the
deal and $20 million.
An IntesaBci liquidity facility will fund against the face amount of related
ABCP, unless the note is downgraded to the Caa range. Since
the program does not have any requirement for removal of downgraded securities
and it currently has no program credit enhancement, the program
is subject to ratings volatility in the event of a deterioration of this
pool. Romulus may not issue ABCP if its available credit enhancement
is less then the required credit enhancement. Romulus currently
has approximately $1.077 billion of ABCP outstanding.
BARCLAYS' SHEFFIELD ADDS TWO CREDIT CARD TRANSACTIONS
Sheffield Receivables Corp., a partially supported,
multiseller ABCP conduit sponsored by Barclays Bank plc (Aa1/Prime-1/A-),
added two large credit card transactions this week. The first is
a $750 million investment in credit card receivables originated
by an established issuer. The transaction is an existing co-purchase
facility with several other conduits. Subordination is 14%.
The other transaction is a $371.4 million transaction with
an unrated issuer. Enhancement is a minimum of 11%,
and the occurrence of certain triggers prevent the issuance of further
ABCP for this transaction.
Program-level enhancement was increased by 10% of each of
these assets. Sheffield is currently authorized to issue up to
approximately $21.235 billion of ABCP.
GMAC's MINT AMENDED
Mortgage Interest Networking Trust ("MINT"), the mortgage warehousing
program administrated by GMAC Mortgage Group, Inc.,
recently amended its program to increase the amount of ABCP funding available
for warehouse lending receivables to 75% from 50% of bank
liquidity commitments. The amount of warehouse lending receivables
that may funded by MITTENS (extendible ABCP) is not limited. This
amendment provides MINT with more flexibility as to how it funds assets,
and does not change the risk exposure of ABCP or MITTEN investors.
Within MINT, warehouse lending receivables are structured to include
a 5.25% floor level credit enhancement. In order
to be eligible, both the third party mortgage lenders and the underlying
mortgages must be current - no more than 30 days or 90 days past
due respectively. ABCP investors are also protected from declines
in asset quality by partial bank liquidity, which funds for at least
60% of the face value of commercial paper as long as $1
of overcollateralization is available. Warehouse lines funded through
MITTENs benefit from liquidity provided by the 180-day extension
feature. To date mortgage warehouse lending receivables sold into
the MINT structure have not experienced any losses. The market
value swap is not required for the warehouse lending portion of the MINT
program. The Prime - 1 rating on MINT's ABCP and MITTENs
are confirmed as a result of these modifications.
MINT with an authorized limit of $6 billion has approximately$
3.8 billion of ABCP and $150 million of MITTENs currently
CIBC'S SPARC BUYS $148.3 MILLION OF NOTES
Special Purpose Accounts Receivable Corp. (SPARC), a partially
supported, multiseller conduit sponsored by Canadian Imperial Bank
of Commerce (CIBC)(Aa3/Prime-1/B), has purchased $148.3
million of notes backed by Aaa-rated Class A notes in a CLO.
Liquidity provided by Prime-1-rated CIBC partially supports
the transaction. No incremental program credit enhancement was
required for this asset. SPARC is now authorized to issue approximately
$4.7 billion of ABCP.
ROYAL BANK OF CANADA'S THUNDER BAY UNWRAPS $125 MILLION INTEREST
IN A CLUB REVOLVING $825 MILLION TRADE RECEIVABLES PURCHASE FACILITY
Thunder Bay Funding Inc. (Thunder Bay), a partially supported,
multiseller ABCP program, sponsored by Royal Bank of Canada (Aa2/Prime-1/B+),
unwrapped its $125 million interest a revolving purchase facility
of trade receivables originated by a non-investment grade-rated
tire manufacturer and distributor. After being unwrapped,
this deal is partially supported by a minimum of 12% deal-specific
credit enhancement that adjusts dynamically depending upon asset performance.
Also, incremental program-level credit enhancement of 10%
of ABCP is provided. ABN AMRO Bank's (Aa3/Prime-1/B) Amsterdam
Funding Corp., JPMorgan Chase Bank's (Aa3/Prime-1/B)
Park Avenue Receivables Corp., Canadian Imperial Bank of
Commerce's (Aa3/Prime-1/B-) Special Purpose Accounts Receivable
Cooperative Corp., and Bank One's (Aa2/Prime-1/B+)
Jupiter Securitization Corp. are co-purchasers of this club
deal. Thunder Bay is authorized to issue up to $3.8
billion of ABCP and has about $1.5 billion in program-level
MBIA'S TRIPLE-A ONE FUNDING ADDS $180 MILLION NOTE BACKED
BY EQUIPMENT INSTALLMENT SALES CONTRACTS
Triple-A One Funding Corp., the fully supported,
multiseller conduit sponsored by MBIA, purchased a Aaa-rated
$180 million note. The note, which is fully insured
by MBIA, is backed by equipment installment sale contracts.
Liquidity is in the form of a repurchase agreement provided by a A2/ Prime-1-rated
financial institution which is not a bank. Triple-A One
is now authorized to issue approximately $3.7 billion of
For a more detailed description of these ABCP programs, see Moody's
GLOBAL ASSET-BACKED BACKED COMMERCIAL PAPER MARKET REVIEW,
which is published quarterly. This information is also available
Structured Finance Group
Moody's Investors Service
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service